High strong order stochastic Runge-Kutta methods for Stratonovich stochastic differential equations with scalar noise

DOI10.1007/s11075-015-0044-0zbMath1342.60116OpenAlexW1727083036MaRDI QIDQ297549

Xiao Tang, Ai-Guo Xiao

Publication date: 27 June 2016

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11075-015-0044-0

zbMATH Keywords

strong convergenceStratonovich stochastic differential equationsstochastic Runge-Kutta methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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